Articles liés à Determinants of Implied Volatility Movements in Equity...

Determinants of Implied Volatility Movements in Equity Options: How to measure and hedge the implied volatility risk in options portfolios - Couverture souple

Angelo, Dr. Christopher

 
9783639338348: Determinants of Implied Volatility Movements in Equity Options: How to measure and hedge the implied volatility risk in options portfolios
Couverture souple
ISBN 10 : 3639338340 ISBN 13 : 9783639338348
Editeur : VDM Verlag Dr. Müller, 2011

Synopsis

This book introduces the idea of volatility as an asset class. Implied Volatility for individual U.S. Stocks are examined extensively. The first chapter defines the notion of implied volatility movements and its interaction with fundamental variables related to the underlying stocks. The second chapter introduces a stochastic implied volatility model for U.S. Stocks and shows how most stocks react to one easily measured common factor. This factor is very robust and liquid to trade. The final chapter examines the risk premia in straddle returns and how to hedge an options portfolios implied volatility risk.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

Dr. Chris Angelo has an excellent skill-set of market experience, advanced computational skills, complex statistical modeling, and the modeling of options pricing. He is an expert in Statistical analysis of multi-asset Implied Volatility Time Series modeling and forecasting. He earned his PhD in Finance from the University of Texas.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Müller
Date d'édition
2011
Langue
anglais
ISBN 10 
3639338340
ISBN 13 
9783639338348
Reliure
Broché
Nombre de pages
60
Coordonnées du fabricant
non disponible
Personne responsable
Buchpark GmbH
gpsr@buchpark.de

Krügerweg 1
Trebbin
Brandenburg
14959
Allemagne